Modellierung von Aktienkursen im Lichte der Komplexitätsforschung

  • This paper offers empirical evidence on the power of Sornette et al's [2001] model of bubbles and crashes regarding the German stock market between 1960 and 2009. We identify relevant time periods and describe them with the function given by Sornette et al's model. Our results show some evidence in predicting crashes with the understanding of logarithmic periodic structures that are hidden in the stock price trajectories. It was shown that for the DAX most of the relevant parameters determining the shape of the logarithmic periodic structures are lying in the expected interval researched by Sornette et al. Further more the paper implicitly shows that the point of time of former crashes can be predicted with the presented formula. We conclude that the concept of financial time series conceived as purely random objects should be generalised as to admit complexity.

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Author:Benjamin Kauper, Karl-Kuno Kunze
Series (Serial Number):Statistische Diskussionsbeiträge (49)
Document Type:Monograph/Edited Volume
Year of Completion:2011
Publishing Institution:Universität Potsdam
Release Date:2011/04/19
Tag:Bubble Theory; Complexity Sciences; Crash Prediction; Econophysics; Nonlinear Dynamics; System Theory
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
JEL Classification:C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications
G Financial Economics / G1 General Financial Markets / G11 Portfolio Choice; Investment Decisions
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
G Financial Economics / G1 General Financial Markets / G17 Financial Forecasting (Updated!)
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht
Notes extern:Zugleich gedruckt erschienen:
Kauper, Benjamin; Kunze, Karl-Kuno: Modellierung von Aktienkursen im Lichte der Komplexitätsforschung / Benjamin Kauper, Karl-Kuno Kunze. - Potsdam : Univ., 2011
(Statistische Diskussionsbeiträge ; 49)
ISSN 0949-068X